Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0619
Annualized Std Dev 0.3320
Annualized Sharpe (Rf=0%) 0.1865

Row

Daily Return Statistics

Close
Observations 4139.0000
NAs 1.0000
Minimum -0.1485
Quartile 1 -0.0090
Median 0.0005
Arithmetic Mean 0.0005
Geometric Mean 0.0002
Quartile 3 0.0100
Maximum 0.2027
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0011
Variance 0.0004
Stdev 0.0209
Skewness 0.5098
Kurtosis 11.0859

Downside Risk

Close
Semi Deviation 0.0145
Gain Deviation 0.0162
Loss Deviation 0.0153
Downside Deviation (MAR=210%) 0.0188
Downside Deviation (Rf=0%) 0.0143
Downside Deviation (0%) 0.0143
Maximum Drawdown 0.7334
Historical VaR (95%) -0.0290
Historical ES (95%) -0.0485
Modified VaR (95%) -0.0261
Modified ES (95%) -0.0261
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-10-27 NA -0.7334 3369 249 NA
2007-01-04 2007-03-05 2007-05-16 -0.2126 92 41 51
2006-05-09 2006-06-13 2006-10-12 -0.2118 110 25 85
2007-07-24 2007-08-16 2007-08-24 -0.1602 24 18 6
2005-08-16 2005-10-27 2006-01-06 -0.1391 100 52 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA -0.2 1.2 0.9 1.9
2005 -0.9 -0.4 0.4 2.1 -0.2 0.3 1.2 1.4 -0.5 1.4 2.1 -1.1 5.9
2006 -0.2 0.7 -0.4 0.4 1 -0.5 -2 1 -0.3 -0.2 -1.2 -0.8 -2.4
2007 0.5 -2.5 -1.7 1.1 1.9 -0.5 -1.9 2.6 2.9 -4.7 1.3 -0.5 -1.7
2008 4.6 -3.5 7.5 2.1 0.1 -0.5 1.7 -1.3 -0.6 -1.9 -7.5 1.2 1
2009 2.3 -2 2.4 0.9 5.8 0.9 -0.3 -2.3 -3.1 -3.5 2.8 0.6 4.1
2010 3.1 2.5 2.8 -0.3 -2.3 0.6 0.4 2.6 0.7 1 2.6 1 15.5
2011 0.7 -0.7 1.3 0 -2 0.8 -0.3 -1.4 -6.3 -1.5 1.1 0.1 -8.2
2012 1.5 0.1 1 1.1 -2.4 3.6 0.3 0.4 1 2.6 0.8 2.3 12.9
2013 0.8 -0.9 -1.2 -1.5 -2 -0.1 1.9 0.1 1.4 0.7 -0.1 1.1 0
2014 -0.2 -1.1 0.3 0.2 0.5 0.8 0.6 -0.1 -2.1 1.2 -2.6 1.6 -1
2015 -2.7 0 1.8 0.9 1.1 -0.8 -0.4 -4.5 0.7 -0.3 0.5 -0.3 -4.2
2016 -2.1 3.6 -0.5 -1.6 -0.6 0.8 -0.3 0.8 0.2 0.7 0 -0.3 0.3
2017 -0.1 1 -0.8 0.2 0.9 0.2 1.2 0 1.2 0.7 -0.8 0.2 4
2018 -1.4 0.1 1.3 -0.1 1.2 1.4 -2.2 0.2 0.5 4.2 1.4 0 6.6
2019 -0.9 1.2 1.6 -0.5 -0.3 1.5 -2.3 0 -0.4 2.1 -2.7 0.3 -0.5
2020 -2.3 0.6 -4.1 -3.4 1.8 1.2 -1 1.3 1.2 -1 1 0.4 -4.4
2021 2.7 2.6 0 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-10-08  17.9 SPY    113. -0.0083  -0.01    3.00e-4  6.50e-3   0.0818   0.0561   -0.140 <NA>     NA    NA       NA
2 2004-10-11  18.1 SPY    113.  0.0041  -0.0076 -8.00e-4  9.90e-3   0.0833   0.0662   -0.135 <NA>     NA    NA       NA
3 2004-10-12  17.9 SPY    113. -0.0039  -0.012  -7.90e-3  9.10e-3   0.0761   0.0389   -0.152 <NA>     NA    NA       NA
4 2004-10-13  17.4 SPY    112. -0.0088  -0.0269 -1.87e-2  6.70e-3   0.0633   0.014    -0.154 <NA>     NA    NA       NA
5 2004-10-14  17.2 SPY    111. -0.0081  -0.0248 -1.91e-2 -6.00e-4   0.051    0.0104   -0.174 <NA>     NA    NA       NA
6 2004-10-15  17.5 SPY    111.  0.0056  -0.0111 -1.66e-2  9.30e-3   0.0597   0.0179   -0.168 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart